Experience and Foresight

About Calamos Investments

For more than 30 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first open-end mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage five closed-end funds. Two are total-return oriented offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed-income offerings, which pursue high current income from income and capital gains. Calamos Global Dynamic Income Fund (CHW) falls into this category. Please see page 5 for a more detailed overview of our closed-end offerings.

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.

We believe that an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered strategies that seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.

We have a global perspective. We believe that globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

JOHN P. CALAMOS, SR.

CEO/Co-CIO

Dear Fellow Shareholder:

Welcome to your annual report for the year ended October 31, 2011. This report includes commentary from our investment team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and allocation of your fund. I invite you to read it carefully.

Calamos Global Dynamic Income Fund (CHW) is an enhanced fixed-income fund. We utilize dynamic asset allocation to pursue high current income, while also maintaining a focus on capital gains.

During the reporting period, CHW provided steady monthly distributions. We believe the Fund’s distribution rate, which was 7.77% on a market price basis as of October 31, 2011, was very competitive, given the low interest rates in many segments of the bond market. Additionally, on a net asset value (NAV) basis, the Fund outperformed both the global equity market as measured by the MSCI World Index and the global bond market as measured by the BofA Merrill Lynch Global Broad Market Index. We believe the Fund’s distributions and performance illustrate the benefits of a global, multi-asset class approach and flexible allocation strategy. We discuss the Fund’s performance and strategy in greater detail in the Q&A section beginning on page 6.

Steady and competitive distributions

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Directors consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes. (For additional information on our level rate distribution policy, please see “The Calamos Closed-End Funds: An Overview” on page 5 and “Level Rate Distribution Policy” on page 38.)

Market environment

Overall, the reporting period was characterized by significant market volatility. Concerns about slowing global growth and developed market government debt proved especially troubling to investors. In the wake of discouraging debt ceiling negotiations, the U.S. saw its government debt downgraded by Standard and Poor’s, while unemployment and housing weakness remained persistent. The eurozone faced far more acute pressures, as its members sought to find a solution to Greece’s troubled balance sheet and anxieties grew about the European banking system as a whole. As the period progressed, investors became increasingly concerned about the potential for a double-dip recession in the U.S. This fueled a dramatic “flight to quality” in the third quarter, as investors sought perceived safe havens. After a significant two-year rally, equities and corporate securities corrected sharply during the third quarter of 2011.

Despite these challenges, the global bond market gained for the 12-month period. The BofA Merrill Lynch Global Broad Market Index returned 4.12%, while the Credit Suisse High Yield Index returned 5.62%. Many segments of the global equity market also advanced. The MSCI World Index, a measure of developed market equity performance returned 2.30%. The U.S. equity market performed notably, with the S&P 500 Index up 8.09%. Emerging market equities retreated, however, as measured by the MSCI Emerging Markets Index’s return of -7.44%. A substantial portion of this decline came during the final months of the reporting period, as emerging markets faced significant pressure as investors became less focused on fundamentals and fled to areas of the market that offered a greater perception of safety. Convertible securities inched into negative territory for the year, with a return of -0.26% for the BofA Merrill Lynch Global 300 Convertible Index.

We see opportunity

The global economy faces complex issues that will take time to resolve. We expect continued volatility as these challenges are addressed. However, now more than ever, we believe that the global economy offers many compelling opportunities for long-term investors who take a highly selective and active approach.

We have positioned the Fund to reflect our expectation for slower but positive growth in the global economy as a whole. Perhaps most importantly, having faced their own debt and banking struggles in the past, the emerging markets may remain a powerful engine for growth, one that we believe can create continued opportunities for companies and countries around the world. Meanwhile, although the U.S. may not be on a normal trajectory for economic recovery, we see encouraging signs that a healing process has begun. Corporate balance sheets remain strong overall, and we are encouraged by positive earnings announcements. Many companies have refinanced and restructured their debt and U.S. consumers have taken steps to deleverage. There has been some market clearing due to business closings as well as merger and acquisition activity.

Our team has identified many companies that we believe are adapting to the global economic environment with innovation. In particular, we are favoring global growth companies with geographically diversified revenues, well-recognized global brands, robust distribution networks and experienced management teams. We believe that multinational companies with healthy balance sheets provide more attractive risk and reward characteristics because they are less dependent on a single country or region.

From an investment themes standpoint, we continue to favor companies that are positioned to benefit from corporate capital spending, global infrastructure build-out and the growing prosperity of emerging market consumers. This has led us to companies in the information technology, energy, industrials and consumer-oriented sectors. We also have identified companies in the energy and materials sectors that we believe are positioned to benefit from a weaker dollar and from continued government efforts to boost asset values. In contrast, we are cautious about companies that are tied solely to U.S. or European GDP, and those that may be more affected by government debt burdens and a complex regulatory environment, including companies in the financials, health care and utilities sectors.

In selecting high-yield corporate bonds and convertible securities for this Fund, we seek to balance yield and risk considerations. We therefore favor companies that we believe offer reliable debt servicing, respectable balance sheets and strong cash flows. As part of our active approach, we subject each investment to our rigorous fundamental credit research. Although issuance in both the high-yield bond and convertible security asset classes has declined, due to volatility concerns and low interest rates, respectively, we continue to find many securities that meet our criteria.

Moreover, despite the uncertainties in the macro environment, we believe equity valuations remain compelling by and large. We have found a number of opportunities to invest in the equities of dividend-oriented multinational companies at prices that we believe are very attractive when compared to historical valuation trends and other measures. In our view, these valuation opportunities are particularly pronounced for growth-oriented companies.

Our use of leverage

We have the flexibility to utilize leverage in this Fund. Over the long term, we believe that the judicious use of leverage provides us with opportunities to enhance total return and support the Fund’s distribution rate. Leverage strategies typically entail borrowing at short-term interest rates and investing the proceeds at higher rates of return. During the reporting period, we believed the prudent use of leverage would be advantageous given the economic environment, specifically the low borrowing costs we were able to secure. Overall, our use of leverage contributed favorably to the returns of the Fund, as the performance of the Fund’s holdings exceeded the costs of our borrowing activities.

Consistent with our focus on risk management, we have employed techniques to hedge against a rise in interest rates. We have used interest rate swaps to manage the borrowing costs associated with our leverage activities. Interest rate swaps allow us to “lock down” an interest rate we believe to be attractive. Although rates are at historically low levels across much of the fixed-income market, history has taught us that rates can rise quickly, in some cases, in a matter of months. We believe that the Fund’s use of interest rate swaps is beneficial because it provides a degree of protection should a rise in rates occur.

We take an active, independent approach

We recognize that ups and downs in the markets can be discouraging for investors. Yet, market volatility is always a factor when investing. In fact, we firmly believe that market volatility can create opportunities for those who take an active, long-term and disciplined approach.

As we invest on behalf of Fund shareholders, we seek to be ahead of the curve and global in our perspective. We believe our dynamic allocation approach has been instrumental to the results we have achieved over full market cycles and will continue to be, particularly given the low rates currently available in many segments of the fixed-income marketplace.

If you would like any additional information about this Fund or our other closed-end offerings, please contact your financial advisor or our client services team at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). We also invite you to visit us at calamos.com.

We thank you for your continued trust.

Sincerely,

John P. Calamos, Sr.

CEO and Co-CIO

Calamos Advisors LLC

This report is for informational purposes only and should not be considered investment advice.

GLOBAL DYNAMIC INCOME FUND

INVESTMENT TEAM DISCUSSION

The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, CFA, discusses the Fund’s strategy, performance and positioning for the one-year period ended October 31, 2011.

Q.  To provide a context for its performance, please discuss the Fund’s strategy and role within an asset allocation.

A.  Calamos Global Dynamic Income Fund (CHW) is a global enhanced fixed-income offering that seeks to provide an attractive monthly distribution, with a secondary objective of capital appreciation. We believe it offers a diversified way to participate in the long-term potential of global markets.

In this portfolio, we are drawing upon our team’s wide-ranging experience in an array of asset classes. We utilize a highly flexible approach, and can invest in equities, convertible securities and high-yield securities. We also can employ alternative strategies such as covered call writing and convertible arbitrage. Through covered call writing, we seek to generate income by selling (“writing”) options on market indexes. In the convertible arbitrage strategy, we invest in convertible securities and short sell the convertibles’ underlying equities to generate income and hedge against risk.

We believe that this broad mandate enhances our ability to capitalize on market volatility, manage potential downside risks and generate more income versus traditional fixed-income funds. The allocation to each asset class and strategy is dynamic, and reflects our view of the economic landscape as well as the potential of individual securities. By combining asset classes and strategies, we believe that we are well positioned to generate income and capital gains. The broader range of security types also provides us with increased opportunities to manage the risk and reward characteristics of the portfolio over full market cycles.

We invest in both U.S. and non-U.S. companies, with at least 40% of assets invested in non-U.S. companies. We emphasize companies with reliable debt servicing, respectable balance sheets, and sustainable prospects for growth. Regardless of a company’s country of domicile, we favor where possible companies with geographically diversified revenue streams and global business strategies.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/11

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.

Q.  How did the Fund perform over the reporting period?

A.  The Fund gained 5.64% on a net asset value (NAV) basis for the one-year period ended October 31, 2011. On a market price basis, the Fund returned 0.72%. On a NAV basis, the Fund’s returns surpassed the broader global fixed-income and equity markets, with the BofA Merrill Lynch Global Broad Market Index gaining 4.12% and the MSCI World Index rising 2.30%.

Q.  How do NAV and market price return differ?

A.  Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings. A fund’s NAV return measures the return of the individual securities of the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a fund’s performance.

Q.  Please discuss the Fund’s distributions during the annual period.

A.  We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. The Fund provided a steady distribution stream over the period. Monthly distributions were $0.0500 per share, and the Fund’s annual distribution rate was 7.77% of market price as of October 31, 2011.

We believe that the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of October 31, 2011, the dividend yield of MSCI World Index stocks averaged 2.9%. Yields also remained low within the U.S. government bond market, with 10-Year U.S. Treasurys and 30-Year U.S. Treasurys yielding 2.2% and 3.2%, respectively.

Q.  What factors influenced performance over the reporting period?

A.  As we discussed above, we have the flexibility to incorporate a number of strategies in this Fund. These include investing in convertible securities and high-yield bonds, U.S. equities, international equities, and convertible arbitrage. All of these strategies outperformed over the year with the exception of U.S. equities, which slightly trailed the S&P 500 Index.

Within the convertible securities and high-yield bonds, an underweight to the financials sector relative to the MSCI World Index proved advantageous, as did our security selection decisions, especially within diversified banks. We believe unfolding regulation and deleveraging may hinder revenue and profit growth in many banks. In contrast, an underweight position to and security selection within consumer staples detracted from performance.

Within U.S. equities, an underweight position to the financials sector relative to the S&P 500 Index contributed to the Fund’s relative performance. The Fund’s underweight reflects our long-standing concerns about the potential risks within the sector. In contrast, an underweight to and security selection within the consumer discretionary

Fund asset allocations are based on total investments and may vary over time.

sector hindered performance, especially positions in the movies and entertainment industry.

Within international equities, performance was strong relative to the MSCI EAFE as all sectors except for telecommunications added value. An overweight position to, and security selection within, the information technology sector added significant value, with selection within the semiconductor and application software industries being notably positive. We continue to favor this sector due to its higher growth potential, higher cash flows and lower debt levels, diversified revenue streams, as well as attractive valuations. We believe the Fund’s holdings are poised to benefit from considerable consumer demand for the latest gadgets and electronics, as well as the current innovation cycle which leads to tomorrow’s technologies.

Finally, our allocation to convertible arbitrage added significant value and was the best performing sleeve in the Fund.

Q.  How is the Fund positioned?

A.  In the current environment, we have emphasized common stocks, which make up nearly 60% of the Fund’s portfolio as of October 31, 2011. Corporate bonds represent nearly one-fifth of the Fund’s portfolio, while convertible securities represent slightly less than the portfolio’s allocation to corporate bonds.

Broadly speaking, we are favoring larger global businesses with diversified revenues and strong brands, particularly companies based in the U.S. and select developed markets in Europe. We sought holdings we believe are well positioned to capitalize on the growth trends we see around the world, including those related to emerging markets. In regard to the Fund’s convertible securities and corporate bonds, we also sought reliable debt servicing and the potential for credit upgrades. In keeping with our risk-conscious approach to income, we favored a mix of investment-grade credits and credits from the higher tiers of the high-yield universe. High-yield bonds are generally recognized as credits with ratings less than BBB.

From a sector perspective, we believe that we have found the most compelling opportunities within the information technology and energy sectors, where we have increased the Fund’s holdings. We slightly decreased the Fund’s positions in the industrials, materials and consumer discretionary sectors. We also increased the Fund’s allocation of high-yield bonds from approximately 17% to 19% during the reporting period while holding fairly consistent with the Fund’s allocation to common stock and slightly reducing convertible securities.

Q.  What is your outlook for the Fund?

A.  We continue to believe that this is an environment that requires active security selection and a risk-conscious, long-term perspective. We anticipate slower but positive growth in the U.S. and global economies. Challenges remain, including for investors who seek income. We expect continued volatility in the financial markets, and we believe that investors should also be prepared for the possibility of inflation and rising interest rates.